SSB: Link
Well-balanced, if a bit slow, and just all-around strong.
Melee: Yoshi, Zelda (never Sheik), Link
Sure, Sheik is faster, but she has worse recovery, poor special moves (the chain is cool, but c'mon, it can't do shit for damage), and isn't really strong enough to knock opponents out. Zelda, on the other hand, is, well, the opposite, and I am much more effective with her. Yoshi tends to surprise people in my hands. Nothing really special, I just tend to play really smart as Yoshi in Melee.
Brawl: Lucario, Dedede, Zelda, Sonic
My main tends to be Lucario, because he's like a character almost specially built for my play style: win by attrition. I LOVE the idea of a character that gets stronger as he racks up more damage. Kudos to Nintendo for that idea. I also like playing as Dedede, Zelda (again), and... please nobody kill me... Sonic. Sonic is just fun, and I don't care what anyone else thinks.